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2006
 
Benford's law from 1881 to 2006: a bibliography. Preprint www.arxiv.org/abs/math.ST/0607168.
See also: A. Berger and T. Hill (2007-date). Benford online bibliography, and the book by M. Nigrini  (2012).

A mean-variance portfolio optimal under utility pricing. J. Math. and Statist. 2(4), 745-752.


Optimization of a chain of excess-of-loss reinsurance layers with aggregate stop-loss limits.
Bulletin of the Association of Swiss Actuaries, Heft 1, 15-26.  MR2253204

Economic risk capital of guaranteed cash-flows under Frechet-Markov return models. 28th Int. Congress of Actuaries, Paris.

The Luxemburg XL and SL premium principle. 28th Int. Congress of Actuaries, Paris.
 
Fitting return periods for largest claims with a Fréchet copula: a case study. 28th Int. Congress of Actuaries, Paris.

A note on a maximum stop-loss spread for a reinsurance in layers.
Bl. DGVFM 27(3), 573-575. (pdf-copy)
 
2005
 
Analytical pricing and risk of best of warrant options. Gloriamundi.org author's page
Part (I) the bivariate case. (pdf-copy)  Part (II) a multivariate extension. (pdf-copy)
 
Approximate bounds for the IBNR claims reserves based on the bivariate chain-ladder model.
 
A note on generalized distortion risk measures. New Mathematical Methods in Risk Theory.
Workshop in honour of Hans Bühlmann, Oct. 6-8, Florence. Finance Research Letters 3(4), 267-272.

Properties and measures of dependence for the Archimax copula. Adv. Appl. Statist. 5(2), 125-143. MR2204874

Excess of loss reinsurance with reinstatements revisited.
ASTIN Bulletin 35(1), 211-238.  MR2142691

Improved analytical bounds for gambler's ruin probabilities.
Methodol. Comput. Appl. Probab. 7(1), 79-95. (pdf-copy) MR2153575 
 
2004
 
On the economic risk capital of portfolio insurance. Int. J. Math. Math. Sci. 41(5-8), 2209-2218.
Gloriamundi.org author's page (pdf-preprint) MR2100101

Is the Karlsruhe premium a fair value premium? Bl. DGVFM 26(4), 701-708. (pdf-copy)

Fair pricing using deflators and decrement copulas: the unit linked endowment approach.
Bl. DGVFM 26(3), 421-437. (pdf-copy)

The primitive cuboids with natural edges and diagonals according to Catalan and Sierpinski.
Far East J. Math. Sci. (FJMS) 12(3), 277-290. (pdf-copy) MR2070246

Multivariate Fréchet copulas and conditional value-at-risk.
Int. J. Math. Math. Sci. 7(5-8), 345-364. (pdf-copy) MR2077652

Measuring operational risk using a mean scaled individual risk model.
Appl. Math. Comput. 152(2), 425-447.
Glorianumdi.org author's page (pdf-preprint) MR2055097

Integer powers and Benford's law. Int. J. Pure Appl. Math. 11(1), 39-46. MR2033394


On the rate of convergence to asymptotic independence between order statistics.
Statist. Probab. Lett. 66(3), 355-362. (pdf-preprint) MR2045480 
Comments by H.M. Barakat (2006). Statist. Probab. Lett. 76(1), 35-38. (pdf-copy) MR2213241 

Fitting bivariate cumulative returns with copulas. Comput. Statist. Data Anal. 45(2), 355-372. (pdf-preprint) MR2045637


Distortion risk measures and economic capital. 
N. Am. Actuar. J. 8(1), 86-95. . MR2039872
 
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